Multi Variate Multi Response ADMM with Interaction Effects
Fit the ADMM part of model for a given lambda vale
Fit the ADMM part of model for the given lambda values
Compute the interaction part of the model.
Carries out cross-validation for a MADMMplasso model over a path of re...
Generate the matrix W as seen in equation 8 for use in the function.
MADMMplasso: Multi Variate Multi Response ADMM with Interaction Effect...
Compute predicted values from a fitted MADMMplasso object. Make predic...
Simulate data for the model. This is the second simulation data used i...
Fit the hierarchical tree structure
This system allows one to model a multi-variate, multi-response problem with interaction effects. It combines the usual squared error loss for the multi-response problem with some penalty terms to encourage responses that correlate to form groups and also allow for modeling main and interaction effects that exit within the covariates. The optimization method employed is the Alternating Direction Method of Multipliers (ADMM). The implementation is based on the methodology presented on Quachie Asenso, T., & Zucknick, M. (2023) <doi:10.48550/arXiv.2303.11155>.